Dear all:

Hello! I just joined the forum. I am a novice to Dynare and I am new to a DSGE modelling as my field is an empirical asset pricing. I am learning DSGE and how to implement it in Dynare and I really appreciate if any of you could help me.

I would like to like to know exactly what sort of a procedure is implemented in Dynare 4.5.7 for both the state smoothing and the disturbance smoothing. I found the following old post from Jan 2006:

“a good reference is A. Harvey (1989) Forecasting, structural time series models and the Kalman filter. Cambridge University Press. For diffuse filters, we use “Filtering and Smoothing of State Vector for Diffuse State Space Models”, S.J. Koopman and J. Durbin (2003, in Journal of Time Series Analysis, vol. 24(1), pp. 85-98). the code is implemented in DiffuseLikelihood*.m and DiffuseKalmanSmoother*.m”.

I wonder if the procedure in Harvey (1989) is still implemented in Dynare 4.5.7 or there is a new procedure specific to Dynare 4.5.7 is implemented.

Although I do not know much about smoothing, I did a quick literature survey and found that de Jong (1989) and Koopman (1993), for instance, proposed two distinct ways to implement smoothing. So it seems that there is no unique way to implement smoothing.

I appreciate your help.

Best,